If you're asking for rendered JPEGs (NOT RAW) from your camera, it is converting either into sRGB or Adobe RGB (1998) based on the matrix setting. OK, so that's the color space of the data. But most cameras do NOT embed a profile but rather EXIF data. OK, now Photoshop opens the file and you have your color settings that, based on what you've done will inform you if the image you are opening is in sync with the preferred color space you've set in our preferences. Say you have the camera set to sRGB but Photoshop set for Adobe RGB (1998). And you have your warning check boxes on. Photoshop pops a warning telling you the file from the camera (sRGB) and Photoshop's color settings (Adobe RGB) are not in sync. No big deal, just pick "Preserve" and open the file. OR change your color settings to sync up with how you've set the camera.
This has NO role in RAW as mentioned. The important thing is to HONOR the color space your camera produced. Depending on the camera and it's age, the EXIF data provided either tells Photoshop the data is in sRGB or "None". When Photoshop see's the "None" tag, it gets confused since there is no true ICC profile embedded and it pops the Missing Profile dialog (again assuming you have the warning to do so checked). You now need to inform Photoshop that you've set the camera Adobe RGB (1998). The file is tagged as such and on you go with your work.